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antonvorobets authored Jan 11, 2024
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Expand Up @@ -32,11 +32,11 @@ with sequential algorithms by [Vorobets (2021)](https://ssrn.com/abstract=393639

The original Entropy Pooling approach solves the minimum relative entropy problem

$$q=\text{argmin}\lbrace x'\left(\ln x-\ln p\right)\rbrace$$
$$q=\underset{x}{\text{argmin}}\lbrace x^{T}\left(\ln x-\ln p\right)\rbrace$$

subject to the constraints

$$Ax=b \quad \text{and} \quad Gx\leq h.$$
$$Gx\leq h \quad \text{and} \quad Ax=b.$$

The constraints matrices $A$ and $G$ contain transformations of the Monte Carlo
simulation that allow you to implement subjective views and stress-tests by
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